核心观点
　　今日主要指数均呈现窄幅震荡的走势。沪深两市全天成交额6041亿元，仍为地量。两市超3300只个股上涨，北向资金全天净买入0.93亿元。。目前国内的疫情正处在快速上升的阶段，由于健康因素，居民出门活动意愿不强，消费短期内难以出现快速回升；而地产也延续下行趋势，商品房销售仍未见改善；外需持续走低抑制出口，且考虑到政策生效的时滞性，经济弱现实的状态可能还将延续，对市场情绪造成短线扰动。不过市场情绪并不恐慌，中长期信心仍足，因为中央经济会议对明年工作进行了重要部署，把支持恢复和扩大消费摆在优先位置，财政政策在扩大内需方面将加力增效，政策端的利好预期对股指形成强力支撑。总的来说，政策强预期与经济弱现实的相互博弈下,预计短期内股指以区间震荡走势为主，但中长期仍存在向上动力。
　　近期期权隐含波动率有所回落，考虑到股指中长期仍有向上动力，可以逢股指回调构建牛市价差策略或者比例价差策略。

研究报告全文：金融期权日报专业研究创造价值2022年12月30日金融期权年尾股市延续地量股指窄幅震荡核心观点今日主要指数均呈现窄幅震荡的走势沪深两市全天成交额6041亿元仍为地量两市超3300只个股上涨北向资金全天净买入093亿元目前国内的疫情正处在快速上升的阶段由于健康因素居民出门活动意愿不强消费短期内难以出现快速回升而地产也延续下行趋势商品房销售仍未见改善外需持续走低抑制出口且考虑到政策生效的时滞性经济弱现实的状态可能还将延续对市场情绪造成短线扰动不过市场情绪并不恐慌中长期信心仍足因为中央经济会议对明年工作进行了重要部署把支持恢复和扩大消费摆在优先位宝城期货研究所置财政政策在扩大内需方面将加力增效政策端的利好预期对股指形成强力支撑总的来说政策强预期与经济弱现实的相互博弈下预计短期内股指以区间投资咨询团队震荡走势为主但中长期仍存在向上动力近期期权隐含波动率有所回落考虑到股指中长期仍有向上动力可以逢股指回调构建牛市价差策略或者比例价差策略仅供参考不构成任何投资建议专业研究创造价值请务必阅读文末免责条款部分111请务必阅读文末免责条款金融期权日报1新闻动态12月29日召开的全国财政工作视频会议提出2023年积极的财政政策要加力提效更直接更有效发挥积极财政政策作用重点要把握五个方面的内容商务部将推出多方面促消费举措包括针对元旦春节的促消费活动以及提升汽车家电家居等传统消费的系列措施2期权指标2022年12月30日50ETF涨053收于2649300ETF上交所涨041收于3938300ETF深交所涨071收于3954沪深300指数涨039收于387163中证1000指数涨032收于628162500ETF上交所涨010收于5887500ETF深交所涨012收于5993创业板ETF涨009收于2279上证50ETF期权成交量PCR为9165上一交易日成交量PCR为10056持仓量PCR为9175上一交易日持仓量PCR为8688上交所3000ETF期权成交量PCR为9321上一交易日成交量PCR为9895持仓量PCR为10572上一交易日持仓量PCR为10392深交所300ETF期权成交量PCR为10177上一交易日成交量PCR为10604持仓量PCR为9166上一交易日持仓量PCR为8938中金所沪深300指数期权成交量PCR为7588上一交易日成交量PCR为8493持仓量PCR为9223上一交易日持仓量PCR为8929中金所中证1000指数期权成交量PCR为6485上一交易日成交量PCR为6778持仓量PCR为6675上一交易日持仓量PCR为6682上交所中证500ETF期权成交量PCR为8339上一交易日成交量PCR为9511持仓量PCR为9648上一交易日持仓量PCR为9844深交所中证500ETF期权成交量PCR为7440上一交易日成交量PCR为10783持仓量PCR为10853上一交易日持仓量PCR为11520创业板ETF期权成交量PCR为7381上一交易日成交量PCR为9773持仓量PCR为9417上一交易日持仓量PCR为9680上证50ETF期权2023年01月平值期权隐含波动率为1610标的30交易日历史波动率为1896上交所300ETF期权2023年01月平值期权隐含波动率为1512标的30交易日历史波动率为1522深交所300ETF期权2023年01月平值期权隐含波动率为1553标的30交易日历史波动率为1532中金所沪深300指数期权2023年01月平值期权隐含波动率为1624标的30交易日历史波动率为1526中金所中证1000指数期权2023年01月平值期权隐含波动率为1600标的30交易日历史波动率为1424上交所中证500ETF期权2023年01月平值期权隐含波动率为1439标的30交易日历史波动率为1192深交所中证500ETF期权2023年01月平值期权隐含波动率为1478标的30交易日历史波动率为1195创业板ETF期权2023年01月平值期权隐含波动率为1804标的30交易日历史波动率为1529专业研究创造价值211请务必阅读文末免责条款金融期权日报3相关图表上证50ETF期权图1上证50ETF走势图2上证50ETF期权波动率50ETF期权50ETF期权45200050001800450041600400014003512003500100030003800250060025400200020015002010002021-01-042021-03-262021-04-222021-05-212021-07-132021-08-062021-09-012021-09-292021-11-252021-12-212022-01-172022-02-172022-04-122022-05-112022-06-072022-08-222022-09-162022-10-192021-01-282021-03-022021-06-172021-11-012022-03-152022-07-012022-07-272022-11-142022-12-082021-01-282021-03-262021-05-212021-07-132021-09-012021-11-012021-11-252021-12-212022-01-172022-02-172022-03-152022-04-122022-05-112022-07-012022-08-222022-10-192022-12-082021-01-042021-03-022021-04-222021-06-172021-08-062021-09-292022-06-072022-07-272022-09-162022-11-14标的成交量万手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图3上证50ETF期权成交量PCR图4上证50ETF持仓量PCR50ETF期权50ETF期权70000001400045000001400060000001200040000001200035000005000000100003000000100004000000800025000008000300000060002000000600020000001500000400010000004000100000020005000002000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-29日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值311请务必阅读文末免责条款金融期权日报上交所300ETF期权图5上交所300ETF走势图6上交所300ETF期权波动率300ETF期权上交所300ETF期权上交所6180050001600450055140040001200350051000300045800600250044002000200150035010002021-01-282021-03-022021-03-262021-04-222021-06-172021-08-062021-09-012021-09-292021-11-012021-12-212022-01-172022-02-172022-03-152022-05-112022-07-012022-07-272022-08-222022-09-162022-11-142022-12-082021-01-042021-05-212021-07-132021-11-252022-04-122022-06-072022-10-192021-01-042021-03-022021-03-262021-05-212021-06-172021-07-132021-09-012021-09-292021-11-012021-12-212022-01-172022-02-172022-04-122022-05-112022-06-072022-07-272022-08-222022-09-162022-11-142022-12-082021-01-282021-04-222021-08-062021-11-252022-03-152022-07-012022-10-19标的成交量万手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图7上交所300ETF期权成交量PCR图8上交所300ETF持仓量PCR300ETF期权上交所300ETF期权上交所50000001400030000001600014000400000012000250000010000120002000000100003000000800015000008000200000060001000000600040001000000400020005000002000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-29日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值411请务必阅读文末免责条款金融期权日报深交所300ETF期权图9深交所300ETF走势图10深交所300ETF期权波动率300ETF期权深交所300ETF期权深交所600035045003005500400025035005000200300045001502500100200040005015003500010002021-01-282021-03-022021-03-262021-04-222021-06-172021-08-062021-09-012021-09-292021-11-012021-12-212022-01-172022-02-172022-03-152022-05-112022-07-012022-07-272022-08-222022-09-162022-11-142022-12-082021-01-042021-05-212021-07-132021-11-252022-04-122022-06-072022-10-192021-01-042021-01-292021-03-042021-03-312021-05-282021-06-252021-07-222021-08-182021-10-202021-11-162021-12-132022-01-102022-03-102022-05-102022-06-072022-07-042022-07-292022-09-222022-10-262022-11-222022-12-192021-04-282021-09-142022-02-112022-04-082022-08-25标的成交量万手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图11深交所300ETF期权成交量PCR图12深交所300ETF持仓量PCR300ETF期权深交所300ETF期权深交所8000002000060000016000700000500000140006000001500012000500000400000100004000001000030000080003000002000006000200000500040001000001000002000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-29日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值511请务必阅读文末免责条款金融期权日报沪深300股指期权图13沪深300股指走势图14沪深300股指期权波动率沪深300指数期权沪深300指数期权6000003503500300550000300025050000020025004500001502000100400000150005035000000010002021-01-042021-01-282021-03-022021-03-262021-04-222021-05-212021-06-172021-07-132021-08-062021-09-012021-09-292021-11-012021-11-252021-12-212022-01-172022-02-172022-03-152022-04-122022-05-112022-06-072022-07-012022-07-272022-08-222022-09-162022-10-192022-11-142022-12-082021-01-042021-02-012021-03-082021-05-072021-06-042021-07-052021-08-302021-09-292021-12-012021-12-292022-01-272022-03-312022-05-052022-06-022022-07-292022-08-262022-09-262022-11-282022-12-262021-04-062021-08-022021-11-032022-03-032022-07-012022-10-31标的成交量亿手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图15沪深300股指期权成交量PCR图16沪深300股指持仓量PCR沪深300指数期权沪深300指数期权4000001400030000012000350000120002500001000030000010000200000250000800080002000001500006000600015000010000040001000004000500002000500002000000000002021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-292021-01-042021-02-022021-03-102021-04-092021-05-132021-06-112021-07-132021-08-112021-09-092021-10-192021-11-172021-12-162022-01-172022-02-222022-03-232022-04-252022-05-272022-06-282022-07-272022-08-252022-09-262022-11-012022-11-302022-12-29日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值611请务必阅读文末免责条款金融期权日报中证1000股指期权图17中证1000股指走势图18中证1000股指期权波动率中证1000指数期权中证1000指数期权7500002503500700000200300065000015025006000001002000550000050150050000000010002022-07-222022-07-292022-08-052022-08-122022-08-192022-08-262022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-07-222022-08-032022-08-092022-08-192022-08-252022-09-062022-09-132022-09-232022-09-292022-10-182022-10-242022-10-282022-11-032022-11-092022-11-152022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192022-12-292022-07-282022-08-152022-08-312022-09-192022-10-122022-12-23标的成交量亿手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图19中证1000股指期权成交量PCR图20中证1000股指持仓量PCR中证1000指数期权中证1000指数期权180000160009000014000160000140008000012000140000700001200010000120000100006000010000080008000500008000040000600060000600030000400004000200004000200002000100002000000000002022-07-222022-07-292022-08-052022-08-122022-08-192022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-262022-07-222022-07-292022-08-052022-08-122022-08-192022-08-262022-09-022022-09-092022-09-192022-09-262022-10-102022-10-172022-10-242022-10-312022-11-072022-11-142022-11-212022-11-282022-12-052022-12-122022-12-192022-12-26日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值711请务必阅读文末免责条款金融期权日报上交所500ETF期权图21上交所500ETF走势图22上交所500ETF期权波动率500ETF期权上交所500ETF期权上交所7006400280060062002600500240060002200400580020003001800200560016005400140010012000520010002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-222022-09-272022-09-302022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-302022-09-192022-10-122022-11-022022-11-182022-12-062022-12-27标的成交量万手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图23上交所500ETF期权成交量PCR图24上交所500ETF持仓量PCR500ETF期权上交所500ETF期权上交所80000014000140000020000700000120000012000150006000001000010000005000008000008000100004000006000003000006000400000500020000040002000001000002000000000002022-09-192022-09-232022-09-292022-10-122022-10-182022-10-242022-10-282022-11-032022-11-092022-11-152022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192022-12-232022-12-292022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-30日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值811请务必阅读文末免责条款金融期权日报深交所500ETF期权图25深交所500ETF走势图26深交所500ETF期权波动率500ETF期权深交所500ETF期权深交所25064002800260020062002400220015060002000100580018001600505600140012000540010002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-282022-11-022022-11-102022-11-152022-11-232022-11-282022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302022-10-252022-11-072022-11-182022-12-012022-12-14标的成交量万手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图27深交所500ETF期权成交量PCR图28深交所500ETF持仓量PCR500ETF期权深交所500ETF期权深交所300000200002500002000025000020000015000150002000001500001500001000010000100000100000500050005000050000000000002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-30日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值911请务必阅读文末免责条款金融期权日报创业板ETF期权图29创业板ETF走势图30创业板ETF期权波动率创业板ETF期权创业板ETF期权120024003900235010003400800230022502900600220024004002150200210019000205014002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-222022-09-272022-09-302022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-302022-09-192022-10-122022-11-022022-11-182022-12-062022-12-27标的成交量万手标的收盘价标的30日历史波动率平值期权隐含波动率数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所图31创业板ETF期权成交量PCR图32创业板ETF持仓量PCR创业板ETF期权创业板ETF期权180000014000800000160001600000120007000001400014000001000060000012000120000050000010000008000100004000008000800000600060000030000060004000004000200000400020000020001000002000000000002022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302022-09-192022-09-232022-09-292022-10-122022-10-182022-10-242022-10-282022-11-032022-11-092022-11-152022-11-212022-11-252022-12-012022-12-072022-12-132022-12-192022-12-232022-12-29日认购成交量日认沽成交量日成交量PCR日认购持仓量日认沽持仓量日持仓量PCR数据来源iFinD宝城期货研究所数据来源iFinD宝城期货研究所专业研究创造价值1011请务必阅读文末免责条款金融期权日报投资咨询团队简介获取每日期货策略推送服务国家走向世界诚信至上合规经营知行合一专业敬业严谨管理开拓进取扫码关注宝城期货官方微信期货咨询尽在掌握免责条款客户不应视本报告为作出投资决策的唯一因素本报告中所指的投资及服务可能不适合个别客户不构成客户私人咨询建议本公司未确保本报告充分考虑到个别客户特殊的投资目标财务状况或需要本公司建议客户应考虑本报告的任何意见或建议是否符合其特定状况以及若有必要咨询独立投资顾问在任何情况下本报告中的信息或所表述的意见并不构成对任何人的投资建议在任何情况下本公司不对任何人因使用本报告中的任何内容所引致的任何损失负任何责任若本报告的接收人非本公司的客户应在基于本报告作出任何投资决定或就本报告要求任何解释前咨询独立投资顾问专业研究创造价值1111请务必阅读文末免责条款